TSE Cash Markets
Historical Market Data for Backtesting Trading Strategies & Indicating Future Market Trends
November 17, 2022 3 min read
|Over 10 years of tick-by-tick data from both auction and off-auction markets|
|Consolidated market data in PCAP format with timestamps for backtesting|
|Knowing how the market looked in the past can help you verify the future performance of trading strategies|
| quantitative analyst, proprietary trader, or trading strategist, and you…
predict stock prices.
Use a combination of “FLEX Full Historical” and “FLEX Standard Historical” to catch trends in past stock/index prices and determine their future direction.
| trading strategist, investor, or data scientist, and you…
analyze past block trades.
Use “ToSTNeT Historical” to study trading value and volume in the off-auction market and dark pools*.
| software developer, algorithm analyst, or quantitative analyst, and you…
improve trading algorithms or strategies.
Use the products in the FLEX Historical service to backtest the performance of your trading algorithm.
| business planner at a vendor or a salesperson at a brokerage firm, and you…
expand your institutional or retail customer base.
Redistribute historical stock & index pricing data to enhance your data services.
|(1) FLEX Full Historical||Historical tick-by-tick TSE-listed stock prices for the full depth of the order book.|
|(2) FLEX Standard Historical||Historical tick-by-tick TSE-listed stock prices for up to BBO10 and accumulated data for over BBO11.
Index prices, OHLC prices, stock fundamentals, and statistical data such as VWAP are also included.
|(3) ToSTNeT Historical||Historical trade results in the ToSTNeT off-auction market, including trades matched in dark pools* and transferred to ToSTNeT.|
|(4) Real-time TOPIX Historical||Historical index prices of TOPIX/TOPIX Core 30/TOPIX 500.|
|(5) FLEX Standard Historical (Futures)||Historical market data for TSE-listed futures back to Nov. 18, 2011.|
|Description||FLEX Historical provides over 10 years of daily historical stock prices and volumes for all exchange-traded instruments on the TSE cash equity market.|
|Data Updated||(For that day’s data) Daily at 11:00pm JST|
|Delivery Method||Regular Use: TEXT/PCAP file via API
Spot Use: TEXT/PCAP file via AWS
|Dataset Type||Historical (Apr. 1, 2010 to May 21, 2021 in TEXT files, from May 24, 2021 in PCAP files)|
|Price||Fees differ depending on the product and plan selected.
– FLEX Full Historical, Regular Use (internal, single entity): JPY 150,000/month
– ToSTNeT Historical, Regular Use (internal, single entity): JPY 50,000/month
– FLEX Full Historical, Spot Use: JPY 60,000 for 1 month’s data
*For more options, please contact us by clicking on the Request Info button below.
|Sample Enabled||Free sample and free trial are available.
Please contact us by clicking on the Free Sample button below.
|Expected Users||Brokerage firms, quantitative investors, investment management firms, information vendors, fintech firms, research institutes|
|Use Cases||– Verification of trading algorithms and strategies
– Analysis of market fluctuation factors and investor sentiments
– Indication of future market direction
– Distribution of semi-real-time or historical stock pricing
|Redistribution||Permitted (monthly external distribution fees may apply)|